VWAP Weekly Monthly & Yearly

The VWAP is a ratio that measures daily the total volume of trade in a security, as well as its average price. The volume-weighted average price can also be calculated over a given period.

This indicator calculate and plot the VWAP for the Weekly, Monthly and Yearly periods. It needs, of course, that the instrument has Volumes.

//PRC_VWAP weekly,monthly,yearly
//28.09.2016
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

//calculation periods
if DayOfWeek=0 or (dayofweek[1]=5 and dayofweek<>5) then
 weekbar=barindex
endif
if month<>month[1] then
 monthbar=barindex
endif
if year<>year[1] then
 yearbar=barindex
endif

once dWeekly=1
once dMonthly=1
once dYearly=1
dWeekly = max(dWeekly, barindex-weekbar)
dMonthly = max(dMonthly, barindex-monthbar)
dYearly = max(dYearly, barindex-yearbar)

VWAPweekly = SUMMATION[dWeekly](volume*typicalprice)/SUMMATION[dWeekly](volume)
VWAPmonthly = SUMMATION[dMonthly](volume*typicalprice)/SUMMATION[dMonthly](volume)
VWAPyearly = SUMMATION[dYearly](volume*typicalprice)/SUMMATION[dYearly](volume)

RETURN VWAPweekly as "VWAP Weekly", VWAPmonthly style(line,2) as "VWAP Monthly", VWAPyearly style(line,3) as "VWAP Yearly"

//PRC_VWAP weekly,monthly,yearly

//28.09.2016

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

//calculation periods

if DayOfWeek=0 or (dayofweek[1]=5 and dayofweek<>5) then

weekbar=barindex

endif

if month<>month[1] then

monthbar=barindex

endif

if year<>year[1] then

yearbar=barindex

endif

once dWeekly=1

once dMonthly=1

once dYearly=1

dWeekly = max(dWeekly, barindex-weekbar)

dMonthly = max(dMonthly, barindex-monthbar)

dYearly = max(dYearly, barindex-yearbar)

VWAPweekly = SUMMATION[dWeekly](volume*typicalprice)/SUMMATION[dWeekly](volume)

VWAPmonthly = SUMMATION[dMonthly](volume*typicalprice)/SUMMATION[dMonthly](volume)

VWAPyearly = SUMMATION[dYearly](volume*typicalprice)/SUMMATION[dYearly](volume)

RETURN VWAPweekly as "VWAP Weekly", VWAPmonthly style(line,2) as "VWAP Monthly", VWAPyearly style(line,3) as "VWAP Yearly"

volume vwap

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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Nicolas • 09/28/2017 #
code updated with a better accuracy to calculate automatically the VWAP periods.

karlito • 09/28/2017 #
bonjour Nicolas pas de possibilité de contournement pour la trimestrielle ? merci
- Nicolas • 09/28/2017 #
  Je pense que ça doit être possible à faire bien sûr. Merci d’ouvrir un sujet dans le forum probuilder stp.

Anthony Williams • 09/28/2017 #
bonjour, tout nouveau ici, je recherche, concernant les vwap, l’indicateur vwap sur plusieurs UT comme ici, mais avec les PREVIOUS daily, weekly, et + en rajout ?! si vous avez un lien, merci…
- Nicolas • 09/28/2017 #
  Il n’existe pas encore dans la bibliothèque, merci de formuler une demande dans le forum approprié.

BERTJES82 • 09/28/2017 #
Hi Nicolas, is it possible to adjust the starting date of the VWAP on the charts? Thanks in advance…
- Nicolas • 09/28/2017 #
  Yes, have a look there: https://www.prorealcode.com/prorealtime-indicators/vwap-date-anchored/

Dadoo • 09/28/2017 #
Merci Nicolas!

NEOMKEY Magnífico !!!. Al menos para mí. Gran trabajo con tus aportes Iván. Mira a ver si le incluye...

Iván jajaja gracias :)

oliTR Very good Iván ! However what would be the modification to add to the code in order to dis...

Iván I personally like it in daily timeframe

oliTR Many thanks Ivan, I copy/paste your code to try it but could only get a constant stable unif...

Iván Hi, I've copied the code above and it works... what asset are you trying? $indices array ...

Razz Bonjour Je pense que votre indicateur est très bon. Serait-il possible d'afficher la heatma...

philippe59139 if marketEtHeamap=1 then drawtext("#touch#",barindex+10,checkprice,SansSerif,Standard,10) c...

philippe59139 voici pour toi RAZZ il te faut simplement ajouter les drawtext https://www.prorealcode.com...

steffen_burat Hello Nicolas, I have a cumulative histogram update problem, the indicator often updates ...

taklause Hello Nicolas, if I try to use your indicator in a trading system, the error on prc pops up ...

Gio56 Bonjour Nicolas J'ai le meme souci que steffen , l'indicateur ne cumule qu'après avoir redé...

Rafa Hi Nicolas! I can´t install this indicator. it installs in a separate window not as an av...

Nicolas Add it on the price, see how: https://www.prorealcode.com/blog/video-tutorials/how-to-add-an...

Frankyslo1 No consigo instalarlo en el precio en PRL-version 10

Khaled As this section of the forum is in English, I'll reply in English. I'm using PRT v11, so I d...

sal157011 Don't understand where it says: "Volume Pressure Histogram: Columns plotted in positive are ...

Khaled Not sure to understand the question. However, the columns (Histogram) represent the variable...

Alai-n Cela fonctionne très bien !!! Super Merci

andreabarbuscia Ciao Nicolas, molto bello questo indicatore, l'ho apprezzato molto. Lo sto testando insieme...

Alai-n Je poste ici un lien afin de mieux appréhender le CVD-Cumulative Volume Delta : https://www....

DELBERT Bonsoir , Nicolas , j'ai transféré votre indicateur sur ma PRT 10,3 et j'ai un méssage d'ére...

Nicolas Vous pouvez essayer en remplacant la ligne avec: vwapsd = sqrt(average[lengthz](square(clo...

DELBERT Bonsoir , merci Nicolas , a bientôt .

ChemaGeek Bonjour Nicolas, j'ai récemment découvert cet indicateur (Regularized Momentum 2017) et je l...

YvesRobert Bonjour, nouveau sur PRT (qq jours), j'essaie un peu de voir quel type d'indicateur me convi...

Jigsaw20000 Bonjour, Je voudrais mettre le liens du code en format .itf mais je n'y arrive pas , quelqu'...

Corto78 Il faut aller dans la liste des ProBacktest & Trading Automatique (là ou tu as créer ton...

Malloc Bonjour, Votre système a l'air intéressant et prometteur mais en l'état il est inutilisable...

Ichimoku Reading I don't know in this case, I just downloaded it again and no problem for me. Try to downloa...

Ichimoku Reading What's the error that appears ?

Suzu Yuk Yes, it worked with 1Tick with 200 K . Thank you very much.

Monobrow Hi Daniele Thank you for the indicator, it looks very good. However, I have a problem so...

Anonymous Thanks very much for sharing, look forward to testing this idea out.

mathiasKN Thank you Daniele for making this script, I know its been some time since the release but wo...

Barrabas15 Apparently, according to the attached data, there is an error in the indicator code. Attach...

Barrabas15 The files are at the end of the following link: https://www.prorealcode.com/topic/time-seg...

robertogozzi Thank you Barrabas15, the correct code is at https://www.prorealcode.com/topic/time-segmente...

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